Every book I can lay my hands on puts an apostrophe in King's Cross, but of course there is never an apostrophe when kings is part of a longer name, such as Kingsbury. Earls Court doesn't have one most of the time and neither does Goldsmiths. Personally, I favour less clutter when possible and I would be happy to see the end of the apostrophe, despite the occasional confusion it would cause.
Basically, there is no consistency. Various books have been written about the Thirty Years War, all with impeccable scholarship, and yet some have an apostrophe and others don't.
I agree about the horrible phrase train station, which has become popular in recent years. The convention is (or was) that if it is for trains, station by itself is enough. For other stations, they should be specified, such as bus station or petrol station.